Tips¶

  • 默认的极值处理方式均调整为为0.01/0.99放缩，前值为5倍标准差处理
  • 复合因子comb_mom12x3_to3M的构造过程发生在数据处理之后，comb_mom12x3_to3M = mom12x3 + turnover3M
  • 行业中性化后的 comb_mom12x3_to3M_GN = mom12x3_GN+ turnover3M_GN
high liquidity set
 date        code       
2006-01-31  000001.XSHE    1
            000002.XSHE    1
            000004.XSHE    0
            000005.XSHE    0
            000006.XSHE    0
Name: amount3M, dtype: int32

summary of all factors¶

  • 非行业中性化(全市场)
start_date:2006-01-01 / end_date:2022-12-31
skew adjskew distance mom6x3 mom9x3 mom12x3 mom1M mom2M mom3M mom6M turnover3M amount3M stddev_diff stddev ep circulating_market_cap comb_mom12x3_to3M
ic.mean -0.0208 -0.0232 0.0043 -0.0046 -0.0017 -0.0000 -0.0469 -0.0503 -0.0457 -0.0384 -0.0430 -0.0421 -0.0069 -0.0397 0.0100 -0.0182 0.0327
ic.t-stats -4.6902 -5.5927 0.4000 -0.6455 -0.2177 -0.0039 -5.7243 -5.3496 -4.7678 -3.9573 -4.3850 -5.2076 -1.3862 -3.5242 1.4971 -2.1585 3.7827
AnnRet_Long -0.0563 -0.0635 0.0194 -0.0484 -0.0347 -0.0063 -0.1594 -0.1587 -0.1545 -0.1407 -0.1393 -0.1373 -0.0624 -0.1483 0.0282 -0.0949 0.0380
AnnRet_short 0.0092 0.0284 0.0338 -0.0049 -0.0412 -0.0228 0.0362 0.0916 0.0986 0.0874 0.1018 0.1787 -0.0490 0.0845 0.0152 0.1880 -0.1401
AnnRet -0.0655 -0.0919 -0.0144 -0.0435 0.0066 0.0165 -0.1956 -0.2503 -0.2531 -0.2280 -0.2411 -0.3161 -0.0134 -0.2328 0.0130 -0.2829 0.1781
SR_Long -0.9702 -1.2841 0.1556 -0.4726 -0.3128 -0.0523 -1.4038 -1.2294 -1.1370 -1.0549 -1.2448 -1.0432 -0.8368 -1.3053 0.2000 -0.6079 0.2935
SR_Short 0.1681 0.5336 0.2204 -0.0508 -0.4735 -0.2415 0.3551 0.7746 0.7834 0.6943 0.5594 1.1502 -0.7271 0.4533 0.1488 1.5089 -1.3748
SR -0.6969 -1.0640 -0.0571 -0.2580 0.0378 0.0874 -1.0598 -1.1517 -1.1040 -0.9725 -0.9043 -1.3596 -0.1174 -0.8887 0.0713 -1.1362 0.8916
TO_Long 0.8818 0.8864 0.3014 0.5186 0.3729 0.3168 0.8677 0.6283 0.5174 0.3719 0.2486 0.1672 0.9529 0.7038 0.1153 0.0560 0.3129
TO_Short 0.8804 0.8819 0.5052 0.5962 0.4513 0.3740 0.8966 0.7005 0.5968 0.4524 0.1830 0.2377 0.9505 0.4906 0.0880 0.1121 0.3266
  • 行业中性化(全市场)
start_date:2006-01-01 / end_date:2022-12-31
skew_GN adjskew_GN distance_GN mom6x3_GN mom9x3_GN mom12x3_GN mom1M_GN mom2M_GN mom3M_GN mom6M_GN turnover3M_GN amount3M_GN stddev_diff_GN stddev_GN ep_GN circulating_market_cap_GN comb_mom12x3_to3M_GN
ic.mean -0.0203 -0.0231 0.0112 -0.0057 -0.0052 -0.0051 -0.0545 -0.0558 -0.0515 -0.0432 -0.0451 -0.0415 -0.0079 -0.0418 0.0039 -0.0171 0.0301
ic.t-stats -5.1114 -6.3052 1.1388 -1.0240 -0.7974 -0.7307 -7.6446 -6.8229 -6.0598 -5.1493 -5.3204 -5.9565 -1.8758 -4.0589 0.6674 -2.3281 3.9020
AnnRet_Long -0.0495 -0.0601 0.0504 -0.0379 -0.0309 -0.0084 -0.1693 -0.1633 -0.1585 -0.1353 -0.1399 -0.1393 -0.0649 -0.1476 0.0426 -0.0890 0.0345
AnnRet_short 0.0136 0.0315 0.0225 0.0180 0.0052 0.0143 0.0780 0.1405 0.1438 0.1309 0.1229 0.1188 -0.0363 0.1097 0.0386 0.0578 -0.1192
AnnRet -0.0631 -0.0916 0.0279 -0.0560 -0.0362 -0.0226 -0.2472 -0.3038 -0.3023 -0.2662 -0.2628 -0.2582 -0.0285 -0.2574 0.0039 -0.1468 0.1537
SR_Long -0.8169 -1.1268 0.4430 -0.4208 -0.3119 -0.0756 -1.6278 -1.3999 -1.2910 -1.1165 -1.3440 -1.1377 -0.9727 -1.4929 0.3626 -0.6089 0.2843
SR_Short 0.2761 0.6295 0.1564 0.2159 0.0745 0.1848 0.8733 1.3025 1.2846 1.1981 0.8092 1.2951 -0.6136 0.6368 0.3915 0.7981 -1.2695
SR -0.7127 -1.0908 0.1188 -0.4099 -0.2611 -0.1426 -1.5167 -1.5907 -1.4874 -1.3017 -1.1678 -1.5614 -0.2827 -1.0713 0.0250 -0.8517 0.8513
TO_Long 0.8806 0.8860 0.3160 0.5222 0.3766 0.3175 0.8693 0.6303 0.5218 0.3761 0.2516 0.1737 0.9529 0.7075 0.1340 0.0578 0.3107
TO_Short 0.8787 0.8824 0.4811 0.5879 0.4452 0.3711 0.8909 0.6951 0.5883 0.4453 0.2231 0.2035 0.9494 0.5393 0.0955 0.0825 0.3265
  • 行业中性化因子（高流动性股票池）
start_date:2005-01-01 / end_date:2022-12-31
skew_GN adjskew_GN distance_GN mom6x3_GN mom9x3_GN mom12x3_GN mom1M_GN mom2M_GN mom3M_GN mom6M_GN turnover3M_GN amount3M_GN stddev_diff_GN stddev_GN ep_GN circulating_market_cap_GN comb_mom12x3_to3M_GN
ic.mean -0.0181 -0.0101 0.0019 0.0080 0.0125 0.0142 -0.0487 -0.0484 -0.0406 -0.0260 -0.0485 -0.0233 0.0051 -0.0288 0.0319 0.0089 0.0470
ic.t-stats -3.9175 -2.2482 0.1748 1.0404 1.5112 1.6582 -5.7563 -5.2711 -4.4575 -2.7295 -4.5033 -3.4015 0.9172 -2.7965 3.8604 0.8696 4.9223
AnnRet_Long -0.0659 -0.0279 0.0015 0.0077 0.0237 0.0236 -0.1352 -0.1183 -0.1095 -0.0919 -0.1520 -0.0645 -0.0446 -0.1362 0.0591 0.0092 0.0840
AnnRet_short 0.0193 0.0093 -0.0122 -0.0351 -0.0621 -0.0519 0.0509 0.0939 0.0758 0.0102 0.0554 0.0145 -0.0700 -0.0005 -0.0879 -0.0447 -0.1386
AnnRet -0.0852 -0.0372 0.0137 0.0428 0.0858 0.0755 -0.1861 -0.2122 -0.1853 -0.1021 -0.2073 -0.0789 0.0254 -0.1357 0.1470 0.0539 0.2226
SR_Long -0.9780 -0.4664 0.0110 0.0706 0.2071 0.2035 -1.1509 -0.9866 -0.9011 -0.7065 -1.1593 -0.5523 -0.5603 -1.1362 0.4269 0.0557 0.6847
SR_Short 0.2956 0.1474 -0.1106 -0.4034 -0.7102 -0.6370 0.4975 0.8723 0.6836 0.1001 0.4635 0.2045 -0.8632 -0.0048 -0.9326 -0.5569 -1.1501
SR -0.8751 -0.3556 0.0613 0.2783 0.5179 0.4473 -1.0057 -1.1125 -0.9495 -0.5123 -0.9280 -0.5758 0.1997 -0.6697 0.8401 0.2649 1.1069
TO_Long 0.8969 0.9002 0.3979 0.5618 0.4320 0.3785 0.8902 0.7189 0.5947 0.4370 0.3384 0.1968 0.9713 0.7384 0.2094 0.0753 0.3755
TO_Short 0.8994 0.9030 0.5967 0.6407 0.5259 0.4694 0.9130 0.7552 0.6396 0.4891 0.2553 0.4404 0.9615 0.6548 0.2683 0.2826 0.4314

details of comb_mom12x3_to3M_GN（high liquidity）¶

收益曲线和表格指标，均是针对超额收益，benchmark用的是equal weighted